Model Checking for Regressions Based on Weighted Residual Processes with Diverging Number of Predictors
预测变量个数发散时基于加权残差过程的回归模型检验
The integrated conditional moment (ICM) test is a classical and widely used method for assessing the adequacy of regression models. Although it performs well in fixed-dimension settings, its behavior changes dramatically when the predictor dimension diverges: in such regimes, the limiting null and alternative distributions of the ICM statistic degenerate to fixed constants. Moreover, when the number of predictors diverges, the commonly used wild bootstrap no longer…